That is correct behavior. Mixed Reality Gaze (supported by HoloLens) and UWP Gaze Input (supported by GazeDevicePreview) are not directly related.
The GazeDevicePreview classes manage external eye trackers such as several by Tobii. See Eye control supports the following eye tracking devices.
The Note in Gaze interactions and eye tracking in Windows apps calls this out and points you to the Mixed Reality docs.
For gaze input in Windows Mixed Reality, see Gaze.
There are several types of Gaze tracking for Mixed Reality as some devices support eye tracking and some support head tracking. For HoloLens 2 Eye tracking see https://learn.microsoft.com/en-us/windows/mixed-reality/design/eye-tracking